Look at the example which shows how one can implement custom sorting and filtering of grid data which ignore accents. How you can see the example use the characters which you need. One can use in jqGrid all UNICODE charachers supported by JavaScript. In one more example more international characters are used.

One typical error which can be done is that one can forget to save the HTML file as UTF-8 encoded. I can't give you any PHP or MySQL advices because I don't use there.

Best regards
Oleg 

I have array for alphabetical values to set icons like:

foreach(range('A','Z') as $i) {
array_push($myarr_1, $i);
}

How to set also other characters for other languages like central european, german...:

šÄÄ‡Å¾Ä‘

I need just A-Z
and Š ÄŒ Ć Ž Đ

All encoding is set to UTF-8 and works. Pages are not in the database. I use correct editor. You are probably correct:
it usually means the medium you use either cannot display them or is setup incorrectl as it shows me ,?'.

I have tested jgrid. Maybe it does not support this special characters. Is this true?